Skip to content
This repository was archived by the owner on Apr 27, 2022. It is now read-only.

Conversation

willb
Copy link
Member

@willb willb commented Nov 15, 2017

This commit changes the simulation to use Student's T instead of a normal distribution. Specifically:

  1. instead of calculating mean and variance, we fit a Student's T distribution to observed stock returns,
  2. each simulation step samples from the appropriate T distribution to determine predicted returns

Note that the worker image must have scipy version 0.17.1 installed.

Sign up for free to subscribe to this conversation on GitHub. Already have an account? Sign in.
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant